Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.3328
Annualized Std Dev 0.6620
Annualized Sharpe (Rf=0%) -0.5028

Row

Daily Return Statistics

Close
Observations 3362.0000
NAs 1.0000
Minimum -0.3514
Quartile 1 -0.0197
Median -0.0006
Arithmetic Mean -0.0007
Geometric Mean -0.0016
Quartile 3 0.0181
Maximum 0.2901
SE Mean 0.0007
LCL Mean (0.95) -0.0021
UCL Mean (0.95) 0.0007
Variance 0.0017
Stdev 0.0417
Skewness -0.3977
Kurtosis 9.8198

Downside Risk

Close
Semi Deviation 0.0300
Gain Deviation 0.0305
Loss Deviation 0.0323
Downside Deviation (MAR=210%) 0.0345
Downside Deviation (Rf=0%) 0.0303
Downside Deviation (0%) 0.0303
Maximum Drawdown 0.9984
Historical VaR (95%) -0.0568
Historical ES (95%) -0.1002
Modified VaR (95%) -0.0656
Modified ES (95%) -0.1226
From Trough To Depth Length To Trough Recovery
2008-10-28 2021-02-17 NA -0.9984 3120 3097 NA
2008-03-20 2008-05-06 2008-09-15 -0.4831 124 33 91
2008-10-10 2008-10-13 2008-10-27 -0.4629 12 2 10
2008-09-18 2008-09-19 2008-10-09 -0.4271 16 2 14
2007-11-13 2007-12-06 2008-01-17 -0.3323 45 17 28

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA NA -1.7 1.8 0.1
2008 -9.1 5.8 -13.1 -3.4 0.2 1.7 -3.4 1.4 -1.6 2.3 14.8 -3.8 -10.6
2009 -4.7 3.8 -5.3 -1.6 -11.9 -1.7 1.2 4.7 6 6.8 -5.3 -1.2 -10.5
2010 -6.3 -5.1 -5.5 0.8 4.4 -1.4 -0.7 -5.2 -1.5 -1.9 -5.3 -1.9 -26.2
2011 -1.4 1.5 -2.5 0.3 3.8 -1.7 0.5 2.7 12.7 2.8 -1.8 -0.2 17.1
2012 -3.2 -0.5 -2 -2.5 4.6 -7.3 -0.7 -0.7 -1.8 -5.2 -1.5 -4.7 -22.9
2013 -1.8 2.3 2.1 3 4.2 -0.1 -3.8 -0.1 -3 -1.7 0.3 -2.1 -1
2014 0.5 1.9 -0.4 -0.1 -1.1 -1.5 -1.1 0.2 4 -2.5 5.2 -3.4 1.5
2015 5.3 -0.1 -3.5 -1.7 -2.2 1.3 0.8 9.2 -1.3 0.6 -1.3 0.6 7.5
2016 4.2 -7.1 0.9 3 0.9 -1.4 0.5 -1.6 -0.9 -1.4 0 0.6 -2.7
2017 0 -2.1 1.7 -0.4 -1.9 -0.6 -2.4 -0.3 -2.2 -1.4 1.8 -0.5 -8
2018 2.9 0 -2.9 0.1 -2.5 -2.8 4.3 -0.4 -0.9 -8.4 -3 0.1 -13.2
2019 1.9 -2.3 -2.9 1.1 0.4 -2.9 4.7 0.1 0.9 -4.2 5.2 -0.8 0.6
2020 4.7 -1.6 8.3 7 -3.8 -2.3 2 -2.4 -2.4 2 -2.1 -0.8 7.9
2021 -5.5 -5.1 0.1 NA NA NA NA NA NA NA NA NA -10.2

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart